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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/experimental/credit/nthtodefault.hpp>
#include <ql/experimental/credit/lossdistribution.hpp>
#include <ql/instruments/claim.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/event.hpp>
#include <ql/experimental/credit/basket.hpp>
namespace QuantLib {
NthToDefault::NthToDefault(
const ext::shared_ptr<Basket>& basket,
Size n,
Protection::Side side,
Schedule premiumSchedule,
Rate upfrontRate,
Rate premiumRate,
const DayCounter& dayCounter,
Real nominal,
bool settlePremiumAccrual
)
: basket_(basket), n_(n),
side_(side), nominal_(nominal),
premiumSchedule_(std::move(premiumSchedule)), premiumRate_(premiumRate),
upfrontRate_(upfrontRate),
dayCounter_(dayCounter), settlePremiumAccrual_(settlePremiumAccrual)
{
QL_REQUIRE(n_ <= basket_->size(),
"NTD order provided is larger than the basket size.");
// Basket inception must lie before contract protection start.
QL_REQUIRE(basket->refDate() <= premiumSchedule_.startDate(),
//using the start date of the schedule might be wrong, think of the CDS rule
"Basket did not exist before contract start.");
premiumLeg_ = FixedRateLeg(premiumSchedule_)
.withNotionals(nominal)
.withCouponRates(premiumRate, dayCounter)
.withPaymentAdjustment(Unadjusted);
registerWith(basket_);
}
// SOME OF THESE ARE INLINES---------------------------------
Size NthToDefault::basketSize() const { return basket_->size(); }
bool NthToDefault::isExpired() const {
return detail::simple_event(premiumLeg_.back()->date()).hasOccurred();
}
Rate NthToDefault::fairPremium() const {
calculate();
QL_REQUIRE(fairPremium_ != Null<Rate>(),
"fair premium not available");
return fairPremium_;
}
Real NthToDefault::premiumLegNPV() const {
calculate();
QL_REQUIRE(premiumValue_ != Null<Rate>(),
"premium leg not available");
QL_REQUIRE(upfrontPremiumValue_ != Null<Rate>(),
"upfront value not available");
return premiumValue_ + upfrontPremiumValue_;
}
Real NthToDefault::protectionLegNPV() const {
calculate();
QL_REQUIRE(protectionValue_ != Null<Rate>(),
"protection leg not available");
return protectionValue_;
}
Real NthToDefault::errorEstimate() const {
calculate();
QL_REQUIRE(errorEstimate_ != Null<Rate>(),
"error estimate not available");
return errorEstimate_;
}
void NthToDefault::setupExpired() const {
Instrument::setupExpired();
premiumValue_ = 0.0;
protectionValue_ = 0.0;
upfrontPremiumValue_ = 0.0;
fairPremium_ = 0.0;
errorEstimate_ = 0.0;
}
void NthToDefault::setupArguments(PricingEngine::arguments* args) const {
auto* arguments = dynamic_cast<NthToDefault::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->basket = basket_;
arguments->side = side_;
arguments->premiumLeg = premiumLeg_;
arguments->ntdOrder = n_;
arguments->settlePremiumAccrual = settlePremiumAccrual_;
arguments->notional = nominal_;
arguments->premiumRate = premiumRate_;
arguments->upfrontRate = upfrontRate_;
}
void NthToDefault::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
const auto* results = dynamic_cast<const NthToDefault::results*>(r);
QL_REQUIRE(results != nullptr, "wrong result type");
premiumValue_ = results->premiumValue;
protectionValue_ = results->protectionValue;
upfrontPremiumValue_ = results->upfrontPremiumValue;
fairPremium_ = results->fairPremium;
errorEstimate_ = results->errorEstimate;
}
void NthToDefault::results::reset() {
Instrument::results::reset();
premiumValue = Null<Real>();
protectionValue = Null<Real>();
upfrontPremiumValue = Null<Real>();
fairPremium = Null<Real>();
errorEstimate = Null<Real>();
additionalResults.clear();
}
void NthToDefault::arguments::validate() const {
QL_REQUIRE(basket && !basket->names().empty(), "no basket given");
QL_REQUIRE(side != Protection::Side(-1), "side not set");
QL_REQUIRE(premiumRate != Null<Real>(), "no premium rate given");
QL_REQUIRE(upfrontRate != Null<Real>(), "no upfront rate given");
QL_REQUIRE(notional != Null<Real>(), "no notional given");
QL_REQUIRE(ntdOrder != Null<Size>(), "no NTD order given");
}
}
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